Optimistic Limit ordes results

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twoion
Posts: 3
Joined: 30 Oct 2012

Optimistic Limit ordes results

Postby twoion » 30 Oct 2012

Hello,
I want to backtest a signal that uses limit orders to exit at TakeProfit.
Unfortunately, the results are better than reality because orders are filled "at price or better".
(in ~70% of cases with 1-2 points better).
Is there any way that, during backtesting,to close the orders exactly "at price" and not "better"?

TIA !

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Andrew MultiCharts
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Re: Optimistic Limit ordes results

Postby Andrew MultiCharts » 30 Oct 2012

Hello Twoion,

Please let me know the following settings:
1. Right-click on the chart -> Format Instruments... -> Settings -> What are "Chart Type" and "Resolution"?
2. Right-click on the chart -> Format Signals... -> Select your signal (all of them one-by-one) -> Format -> Properties -> Is Intra-bar Order Generation enabled?
3. Right-click on the chart -> Format Signals... -> Properties -> Backtesting -> Is Bar Magnifier enabled? If yes, then what is it set to?
4. In the same "Backtesting" tab -> How is set "Backtesting Assumptions"?

twoion
Posts: 3
Joined: 30 Oct 2012

Re: Optimistic Limit ordes results

Postby twoion » 30 Oct 2012

Hello Andrew,

I`m using :
-regular/15 min
-bar magnifier : a. disabled ; b. enabled / intraday 1 minute = exactly the same exits
(ex : 91.19; 91.19; 114.63; 138.06; 138.06; 91.19; 161.5; 67.75; 91.19; 114.63 etc, etc instead of 67.75 (the normal profit for my TP)
-"Fill limit order when trade takes place at limit price or better"
- Intra bar order...= enabled

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Andrew MultiCharts
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Re: Optimistic Limit ordes results

Postby Andrew MultiCharts » 30 Oct 2012

Thank you for the information. Unfortunately there is no way the limit orders can be executed at a particular price and not better. Market orders might be helpful in your case, when intra-bar order generation is on and bar magnifier is used. As another solution, you can try stop-limit orders to limit that possible offset from your initially desired price.

twoion
Posts: 3
Joined: 30 Oct 2012

Re: Optimistic Limit ordes results

Postby twoion » 30 Oct 2012

Thank you .
I`ll try to use : If PriceCondition (i.e. TP) then Exit "this bar on close".
Using this method I`ll got a "loud and clear" exit price.


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